This is a MATLAB(R) implementation of the ideas discussed in
LopezCalva, G. and K. Shea, "Fitting Survival Probability Models," WILMOTT Magazine, issue 45, pp. 1622.
We estimate the parameters of three different survival probability models based on credit default swap (CDS) spreads. The parameters of the models are fitted using a nonlinear leastsquares solver. For the standard model, a bootstrapping technique is also implemented, for comparisons. The marktomarket (MtM) of an existing CDS contract is also calculated under the three alternative survival models. Code for a general survival model is provided, though it is not used in the main demo.
Dependencies: This demo uses functionality from the Financial Toolbox(TM), FixedIncome Toolbox(TM) and Optimization Toolbox(TM).
